High frequency trading and market quality : an analysis on Dow Jones industrial average and its component stocks

• المؤلفون الرئيسيون: Yap, Jia Wei, Du, Jing, Zhang, Shu Qi
• مؤلفون آخرون: Charlie Charoenwong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2013
• الموضوعات: DRNTU::Business
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/51587
• المؤسسة: Nanyang Technological University

This paper examines the market quality in the US securities market surrounding the “Flash Crash” on May 6, 2010 by focusing on the Dow Jones Industrial Average (DJIA) and its component stocks. The study defines market quality in three dimensions: stock price’s volatility, trading activity, and liqui...